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Hi Gareth, Thanks for the reply. I have my VaR estimates, following from that I have used this program as the simplest version of a conditional coverage test a = @recode(nvars_iseqr>iseqr, 1, na) and sum the 1's under this code s=@sum(nvars_iseqr>iseqr,"7/12/1999 8/22/2018") Do you think t...

Hi, I am masters in finance student and currently working on my dissertation. I am estimating and backtesting different Value at Risk Models on the ISEQ index. I have conducted the estimation using historical simulation and volatility weighted historical simulation. In order to complete the analysis...